StockFetcher Forums · Filter Exchange · Winning Strategy<< 1 ... 5 6 7 8 9 ... 14 >>Post Follow-up
levamit
101 posts
msg #105633
Ignore levamit
modified
3/23/2012 3:57:26 PM

Guys ,This Filter is The Best!! 3/7 Days.

Exit Setup
Stop Loss: N/A
Profit Stop: N/A
Trailing Stop Loss: N/A
Minimum Holding Days: 1
Maximum holding days: 3

Advanced Options
Selection Method: select by volume descending
Entry Price: open
Conditional Entry: No
Exit Price: open
Maximum Trades Per Day: 3
Maximum Open Positions: 5
Maximum Selected Stocks: 3
Close all OPEN positions: Yes

Fetcher[
Stocks are not OTCBB
Stocks are not ETF
Bollinger Width Oscillator(5,2) below -50 in last day
Lower Acceleration Band(5) dropped more than 3.5 Percent
Lower Keltner Band(5)dropped more then 3 percent
Day Position(0.5,1) below day position 2 days ago
do not draw day position (-1.00,5)
do not draw day position
average Volume(4) > 120000
close > 1.20
StochRSI(4,2) < 0.20 within last 5 days
add column IMI(4)
set{liquidity1,average volume(30) * open}
set{liquidity2,average volume(15) * open}
set{liquidity3,average volume(7) * open}
liquidity1 > 100000
liquidity2 > 100000
liquidity3 > 100000
]



Please keep me posted on what you think,

LA



tombrown1
61 posts
msg #105635
Ignore tombrown1
3/23/2012 6:22:31 PM

Nice new filter levamit! I like the liquidity additions. Backtests are different from what I was doing, and it's hard to say if they're better or not.

Old filter:
11-12: 117%
10-11: 278%
9-10: 1027%
8-9: 62%
7-8: 74%
6-7: 183%
5-6: 386%
4-5: 421%
3-4: 650%
2-3: 1746%

New filter:
11-12: 413%
10-11: 208%
9-10: 486%
8-9: 58%
7-8: 268%
6-7: 88%
5-6: 371%
4-5: 941%
3-4: 715%
2-3: 1007%

Not sure which numbers are better. New filter has 4 years better than the old filter. But the new filter's most recent year is far superior. Hmmm...


They way I trade is with 3 max trades open and only 2 max trades entered per day. Obviously it's a winning strategy and the more money you put in per trade the better off you are. I found in backtesting that 3 max trades open was a good balance between making a lot money and reducing risk.

I did find more $$$ with a 7-day hold along with the RSI(2) > 55. Levamit likes 3 days. This is an interesting choice to make. The longer you hold the more risk you incur. For example, in 2008-2009 the market was in a big-time crash and putting in a 20-day hold along with the RSI made you lose a lot of money. This is because you were hanging on to stocks that were on a nosedive. So in a bull market you want to hold longer to let the RSI do its work, but in a down market you want a much shorter hold. I found 7 days to be a nice middle ground - just bear in mind that in a severe bear market you will probably see some serious drawdowns with a 7-day hold. The 7-day hold "only" returned 62% that year - so that's a good enough margin of safety for me. But do bear in mind that the 20-day hold would have lost you somewhere around 40% that year.

Levamit, you are correct that the 1-day minimum hold fixes the profit stop problem. Not putting that 1-day minimum hold is one of several ways for people to generate outlandish backtest results that wouldn't exist in reality.

Bob, don't check the filter during the day. After the market closes check your filter and send out some trades to execute for the following morning.

Best,

TB



tennisplayer2
179 posts
msg #105638
Ignore tennisplayer2
3/24/2012 12:01:39 AM

Tom, thanks.

Dylan
27 posts
msg #105641
Ignore Dylan
3/24/2012 2:10:30 AM

Tom

I get totally different % returns in my backtesting from yours shown in your last post.

Can you please post your exact parameters so I can duplicate your numbers?

Thanks in advance.

- Dylan

tombrown1
61 posts
msg #105642
Ignore tombrown1
3/24/2012 9:12:37 AM

Dylan,
I'm using the equity summary for my results. That may be the problem.


TB

th3moneytrain
10 posts
msg #105650
Ignore th3moneytrain
3/25/2012 12:34:57 AM

Hello Tom and Levamit

In regards to your response,
"They way I trade is with 3 max trades open and only 2 max trades entered per day. .....

I did find more $$$ with a 7-day hold along with the RSI(2) > 55......

Levamit, you are correct that the 1-day minimum hold fixes the profit stop problem. Not putting that 1-day minimum hold is one of several ways for people to generate outlandish backtest results that wouldn't exist in reality. ....

Bob, don't check the filter during the day. After the market closes check your filter and send out some trades to execute for the following morning."


I'd like to clarify a few things:
1) Trades should be held no less or more than 3/7 day unless RSI(2) > 55. i.e. even if the stock is trending up after 3/7 days, one should still sell it?

2) Trades should be placed (bought and sold) at open?

3) What if the filter pulls more than 3 trades, how should one choose which three to trade? Is it arbitrary chosen?

4) 3 max trades open. I assume the 3 trades shall be equally weighted? With only one trade available for Monday, one shall only put about 1/3 of investment to save reserves for 2 other trades in the future?

Thanks,
TMT


levamit
101 posts
msg #105653
Ignore levamit
3/25/2012 5:30:10 AM

Hello TMT,

You should stick to the rules and act as following :
1-Trades should be held no less or more than 3/7 day or unless RSI(2) > 55. i.e. even if the stock is trending up after 3/7 days put Sell at open (IB command Sell OPG) .
2-Run the filter 30 minute after the market is closed and entry to trade on the next day with (IB command buy at OPG) price at open.
3-If the filter pulls more than 3 trades You choose the first two ,meaning if you want to holding Max 3 open position you need to choose only 2 on the first day and make new filter scan on the close to choose another one for tomorrow at open)
The filter select by volume descending.
4-3 max trades open. meaning take 2 from the first scan (Yesterday) and take another one from (today) scan selected by volume descending default filter scan.

Advanced Options
Selection Method: select by volume descending
Entry Price: open
Conditional Entry: No
Exit Price: open
Maximum Trades Per Day: 2
Maximum Open Positions: 3
Maximum Selected Stocks: 2
Close all OPEN positions: Yes

Regards,
Levamit

th3moneytrain
10 posts
msg #105657
Ignore th3moneytrain
modified
3/25/2012 2:26:02 PM

Thank you for clarifying. I will def. give this a shot starting Monday. I'm not on IB so I will manually buy and sell for the time being.

Another question:
If RSI (2) > 55 happens intraday, should we sell intraday or the open on next day?

tombrown1
61 posts
msg #105658
Ignore tombrown1
3/25/2012 3:19:41 PM

I tested the system using no intraday data, so I don't know what will happen if you do intraday.

As far as the stock trending up when you hit a 3 or 7 day exit - I don't have the patience to test for that manually, so play around with it if you want. But the if the stock is trending up then it will likely have hit the rsi(2) 55 mark.

TB

saico
55 posts
msg #105671
Ignore saico
3/26/2012 9:42:44 AM

But guys, are you really going to apply serious money to a strategy, that has a draw down expectation for single postions like that? Also dont forget the impact of commissions to the overall performance, when you trade single digit stocks. I really dont want to spoil the party just make some critical points that came to my mind when i checked things out.

saico

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